Similar Search Results

Volatility, the Macroeconomy and Asset Prices

Bansal, Ravi - 2012

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

Persistent link: https://www.econbiz.de/10013106078

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Bansal, Ravi - 2007

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

Persistent link: https://www.econbiz.de/10012776940

Predictable Returns and Asset Allocation : Should a Skeptical Investor Time the Market?

Wachter, Jessica A. - 2007

Are excess returns predictable and if so, what does this mean for investors? Previous literature has tended toward two polar viewpoints: that predictability is useful only if the statistical evidence for it is incontrovertible, or that predictability should affect portfolio choice, even if the...

Persistent link: https://www.econbiz.de/10012776789

What is the Chance that the Equity Premium Varies Over Time? Evidence from Regressions on the Dividend-Price Ratio

Wachter, Jessica A. - 2011

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...

Persistent link: https://www.econbiz.de/10013121048

Interpretable Asset Markets?

Bansal, Ravi - 2010

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

Persistent link: https://www.econbiz.de/10012762886

Risks for the Long Run : Estimation with Time Aggregation

Bansal, Ravi - 2012

prices, including the equity premia, risk-free rate and volatility puzzles …

Persistent link: https://www.econbiz.de/10013101822

Pricing Long-Lived Securities in Dynamic Endowment Economies

Tsai, Jerry - 2018

We solve for asset prices in a general affine representative-agent economy with isoelastic recursive utility and rare events. Our novel solution method is exact in two special cases: no preference for early resolution of uncertainty and elasticity of intertemporal substitution equal to one. Our...

Persistent link: https://www.econbiz.de/10012918078

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Wachter, Jessica A. - 2005

to the CAPM …

Persistent link: https://www.econbiz.de/10012784914

The Term Structures of Equity and Interest Rates

Lettau, Martin - 2010

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks...

Persistent link: https://www.econbiz.de/10012757917

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

Bansal, Ravi - 2012

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...

Persistent link: https://www.econbiz.de/10013100993